As Machka said, with acclimation you get used to it. Some people, particularly asthmatics, are more sensitive than others. Many folks I know get around the matter by wearing a balaclava to keep their nose and mouth covered.

For me, the key thing is letting generations of evolution work for me. Our bodies are amazingly adaptable--something I learned with personal experience due only to winter cycling. Already I'm letting my body adjust to cooler temps after the particularly sultry summer we've had Upstate. Just Friday night, I was coming home from a ride and temp had dropped to 65.

Chilly, I thought. I wish I'd brought armwarmers. Then I remembered, winter is coming. Time to let the body change from heat dissipation mode to heat retention mode.

The only way to do that is to let myself get a little chilly in the autumn. The body adjusts and by December I'm fine with winter. Just look at my avatar--roadie kit in February. A rare 25°F day in February, but February nonetheless.